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bashtage/arch: Release 5.0

Kevin Sheppard; Stanislav Khrapov; Gábor Lipták; mikedeltalima; Rob Capellini; Hugle; esvhd; Alex Fortin; JPN; Weiliang Li; Austin Adams; jbrockmendel; M. Rabba; Michael E. Rose; Tom Rochette; UNO Leo; Xavier RENE-CORAIL; syncoding

Release 5.0 contains new features and backward-incompatible changes.

Unit Root
  • All unit root tests are now immutable, and so properties such as trend cannot be set after the test is created.
Bootstrap
  • Added seed keyword argument to all bootstraps (e.g., IIDBootstrap and StationaryBootstrap) that allows a NumPy numpy.random.Generator to be used. The seed keyword argument also accepts legacy numpy.random.RandomState instances and integers. If an integer is passed, the random number generator is constructed by calling numpy.random.default_rng The seed keyword argument replaces the random_state keyword argument.
  • The IIDBootstrap.random_state property has also been deprecated in favor of IIDBootstrap.generator.
  • The IIDBootstrap.get_state and IIDBootstrap.set_state methods have been replaced by the IIDBootstrap.state property.
Volatility Modeling
  • Added seed keyword argument to all distributions (e.g., Normal and StudentsT) that allows a NumPy numpy.random.Generator to be used. The seed keyword argument also accepts legacy numpy.random.RandomState instances and integers. If an integer is passed, the random number generator is constructed by calling numpy.random.default_rng The seed keyword argument replaces the random_state keyword argument.
  • The Normal.random_state property has also been deprecated in favor of Normal.generator.
  • Added ARCHInMean mean process supporting (G)ARCH-in-mean models.
  • Extended VolatilityProcess with VolatilityProcess.volatility_updaterthat contains a VolatilityUpdater to allow ARCHInMean to be created from different volatility processes.

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